Replication Data for: "Institutional Liquidity Costs, Internalized Retail Trade Imbalances, and the Cross-Section of Stock Returns"

This package contains pseudo data and computer programs that demonstrate how the key results of the article can be produced from actual raw data. Since the underlying data of the package represent a small sample of stocks in 2013 - with completely masked stock identities - the empirical results generated by this package are meaningless.

1) The main results concerning the economic mechanism proposed by the article, as well as asset pricing evidence can be reproduced based on this package. These results include Figure 1 - Panel A; Figure 1 Panel B; Table 1; Table 2; and Table 5.

2) The stocks included in pseudo data all feature previous month-end closing prices of at least $2. This price filter underlies all main results of the paper, and users should impose this restriction when reproducing main results. For robustness (reported in the Appendix), $1 and $5 cutoffs are used.

3) The two SAS programs must be run on WRDS-cloud server. They loop over stocks in each year to produce relevant microstructure outcomes used throuhout the paper. Users should edit parameters of these progrmas to produce all the necessary data.

4) The STATA file contains the code needed to arrive at final results from raw data. The raw data come from various sources, and examples of pseudo data structures for each sources are provided - mostly in .csv format.

5) All programs contain comments that should help users better navigate steps.